D'Amore-McKim School of Business, Northeastern University, Boston, Massachusetts, United States of America.
PLoS One. 2023 Nov 3;18(11):e0293909. doi: 10.1371/journal.pone.0293909. eCollection 2023.
China's export benefits from the significant fiscal stimulus in the United States. This paper analyzes the global spillover effect of the American economy on China's macro-economy using the Markov Chain Monte Carlo (MCMC)-Gibbs sampling approach, with the goal of improving the ability of China's financial system to protect against foreign threats. This paper examines the theories of the consequences of uncertainty on macroeconomics first. Then, using medium-sized economic and financial data, the uncertainty index of the American and Chinese economies is built. In order to complete the test and analysis of the dynamic relationship between American economic uncertainty and China's macro-economy, a Time Varying Parameter-Stochastic Volatility-Vector Autoregression (TVP- VAR) model with random volatility is constructed. The model is estimated using the Gibbs sampling method based on MCMC. For the empirical analysis, samples of China's and the United States' economic data from January 2001 to January 2022 were taken from the WIND database and the FRED database, respectively. The data reveal that there are typically fewer than 5 erroneous components in the most estimated parameters of the MCMC model, which suggests that the model's sampling results are good. China's pricing level reacted to the consequences of the unpredictability of the American economy by steadily declining, reaching its lowest point during the financial crisis in 2009, and then gradually diminishing. After 2012, the greatest probability density range of 68% is extremely wide and contains 0, indicating that the impact of economic uncertainty in the United States on China's pricing level is no longer significant. China should therefore focus on creating a community of destiny by working with nations that have economic cooperation to lower systemic financial risks and guarantee the stability of the capital market.
中国的出口受益于美国的巨额财政刺激。本文利用马尔可夫链蒙特卡罗（MCMC）-Gibbs 抽样方法分析了美国经济对中国宏观经济的全球溢出效应，旨在提高中国金融体系抵御外部威胁的能力。本文首先考察了不确定性对宏观经济后果的理论。然后，使用中等规模的经济和金融数据，构建了美国和中国经济的不确定性指数。为了完成美国经济不确定性与中国宏观经济之间动态关系的测试和分析，构建了一个具有随机波动的时变参数-随机波动向量自回归（TVP-VAR）模型。该模型使用基于 MCMC 的 Gibbs 抽样法进行估计。对于实证分析，从 WIND 数据库和 FRED 数据库中分别选取了 2001 年 1 月至 2022 年 1 月中国和美国的经济数据样本。数据表明，MCMC 模型中大多数参数的估计值中通常只有不到 5 个错误成分，这表明模型的抽样结果良好。中国的定价水平对美国经济不确定性的后果做出反应，呈稳步下降趋势，在 2009 年金融危机期间达到最低点，然后逐渐减少。2012 年之后，68%的最大概率密度范围非常宽，包含 0，这表明美国经济不确定性对中国定价水平的影响不再显著。因此，中国应该通过与有经济合作的国家共同努力，创建命运共同体，降低系统性金融风险，保障资本市场稳定。
